Intraday Herding on a Cross-Border Exchange

Panos Andrikopoulos; Vasileios Kallinterakis; Mario  Pedro Leite Ferreira; Thanos  Verousis

doi:10.1016/j.irfa.2017.08.010

Intraday Herding on a Cross-Border Exchange

Panos Andrikopoulos, Vasileios Kallinterakis, Mario Pedro Leite Ferreira, Thanos Verousis

School of Economics, Finance and Accounting

Research output: Contribution to journal › Article › peer-review

17 Citations (Scopus)

44 Downloads (Pure)

Abstract

This study investigates intraday herding on the Euronext, the world’s first cross-border consolidated exchange. Intraday herding is significant in the Euronext as a group and presents us with size, industry and country effects. Importantly, the trading dynamics of the group's member markets significantly affect each other and can, in the case of the Netherlands, promote herding formation. Intraday herding is found to be significant before, during and after the 2007-09 financial crisis period, with its presence appearing the least strong during the crisis. Overall, we demonstrate for the first time in the literature that cross-border exchanges harbour versatile herding dynamics at intraday level, a finding which reflects recent advances in financial technology and the ongoing financial integration in Europe.

Original language	English
Pages (from-to)	25-36
Number of pages	12
Journal	International Review of Financial Analysis
Volume	53
Early online date	1 Sep 2017
DOIs	https://doi.org/10.1016/j.irfa.2017.08.010
Publication status	Published - Oct 2017

Bibliographical note

NOTICE: this is the author’s version of a work that was accepted for publication in International Review of Financial Analysis. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. A definitive version was subsequently published in International Review of Financial Analysis, [53, (2017)] DOI: 10.1016/j.irfa.2017.08.010

© 2017, Elsevier. Licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International http://creativecommons.org/licenses/by-nc-nd/4.0/

Keywords

tick data
intraday herding
cross-border groups
EURONEXT

ASJC Scopus subject areas

Finance

Access to Document

10.1016/j.irfa.2017.08.010

Post-PrintAccepted author manuscript, 932 KBLicence: CC BY-NC-ND

Panagiotis Andrikopoulos
- Research Centre for Financial & Corporate Integrity - Centre Director
Person: Teaching and Research

Cite this

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title = "Intraday Herding on a Cross-Border Exchange",

abstract = "This study investigates intraday herding on the Euronext, the world{\textquoteright}s first cross-border consolidated exchange. Intraday herding is significant in the Euronext as a group and presents us with size, industry and country effects. Importantly, the trading dynamics of the group's member markets significantly affect each other and can, in the case of the Netherlands, promote herding formation. Intraday herding is found to be significant before, during and after the 2007-09 financial crisis period, with its presence appearing the least strong during the crisis. Overall, we demonstrate for the first time in the literature that cross-border exchanges harbour versatile herding dynamics at intraday level, a finding which reflects recent advances in financial technology and the ongoing financial integration in Europe. ",

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author = "Panos Andrikopoulos and Vasileios Kallinterakis and {Pedro Leite Ferreira}, Mario and Thanos Verousis",

note = "NOTICE: this is the author{\textquoteright}s version of a work that was accepted for publication in International Review of Financial Analysis. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. A definitive version was subsequently published in International Review of Financial Analysis, [53, (2017)] DOI: 10.1016/j.irfa.2017.08.010 {\textcopyright} 2017, Elsevier. Licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International http://creativecommons.org/licenses/by-nc-nd/4.0/",

year = "2017",

month = oct,

doi = "10.1016/j.irfa.2017.08.010",

language = "English",

volume = "53",

pages = "25--36",

journal = "International Review of Financial Analysis",

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AU - Andrikopoulos, Panos

AU - Kallinterakis, Vasileios

AU - Pedro Leite Ferreira, Mario

AU - Verousis, Thanos

N1 - NOTICE: this is the author’s version of a work that was accepted for publication in International Review of Financial Analysis. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. A definitive version was subsequently published in International Review of Financial Analysis, [53, (2017)] DOI: 10.1016/j.irfa.2017.08.010 © 2017, Elsevier. Licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International http://creativecommons.org/licenses/by-nc-nd/4.0/

PY - 2017/10

Y1 - 2017/10

N2 - This study investigates intraday herding on the Euronext, the world’s first cross-border consolidated exchange. Intraday herding is significant in the Euronext as a group and presents us with size, industry and country effects. Importantly, the trading dynamics of the group's member markets significantly affect each other and can, in the case of the Netherlands, promote herding formation. Intraday herding is found to be significant before, during and after the 2007-09 financial crisis period, with its presence appearing the least strong during the crisis. Overall, we demonstrate for the first time in the literature that cross-border exchanges harbour versatile herding dynamics at intraday level, a finding which reflects recent advances in financial technology and the ongoing financial integration in Europe.

AB - This study investigates intraday herding on the Euronext, the world’s first cross-border consolidated exchange. Intraday herding is significant in the Euronext as a group and presents us with size, industry and country effects. Importantly, the trading dynamics of the group's member markets significantly affect each other and can, in the case of the Netherlands, promote herding formation. Intraday herding is found to be significant before, during and after the 2007-09 financial crisis period, with its presence appearing the least strong during the crisis. Overall, we demonstrate for the first time in the literature that cross-border exchanges harbour versatile herding dynamics at intraday level, a finding which reflects recent advances in financial technology and the ongoing financial integration in Europe.

KW - tick data

KW - intraday herding

KW - cross-border groups

KW - EURONEXT

U2 - 10.1016/j.irfa.2017.08.010

DO - 10.1016/j.irfa.2017.08.010

M3 - Article

VL - 53

SP - 25

EP - 36

JO - International Review of Financial Analysis

JF - International Review of Financial Analysis

SN - 1057-5219

ER -

Intraday Herding on a Cross-Border Exchange

Abstract

Bibliographical note

Keywords

ASJC Scopus subject areas

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Panagiotis Andrikopoulos

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